In this contribution, we study options on assets which pay discrete dividends. We focus on American options, as when dealing with equities, most traded options are of American-type. In particular, we analyze implied volatilities in the model proposed by Haug et al. [12] and in the binomial model, with an application to the Italian Derivatives Market.

Implied volatilities of American options with cash dividends: an application to Italian Derivatives Market (IDEM)

NARDON, Martina;PIANCA, Paolo
2009-01-01

Abstract

In this contribution, we study options on assets which pay discrete dividends. We focus on American options, as when dealing with equities, most traded options are of American-type. In particular, we analyze implied volatilities in the model proposed by Haug et al. [12] and in the binomial model, with an application to the Italian Derivatives Market.
2009
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/23383
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